I am trying to price a floating rate bond with a capped and floored interest rate. The strikes of the caps and floors vary, but are known in advance. I am trying to do this with QuantLibXL, but I am ...
Wandering through QuantLib's Financial instruments documentation, I noticed no class for fixed-to-floater bonds exist. Then I was wondering what a suitable way to price such an instrument would be ...
Due to the periodic fixing of floating rate bonds's coupon rates, in order to calculate the bond clean price one must tell the pricing engine to account for previous LIBOR rate fixing. If I am right ...
I am wondering what's the most efficient way (i.e. the method which involves the fewest arguments) to price a bond at a specified date, e.g. a future date (as instance, 6 months from now) in QuantLib. ...
Consider the RQuantLib package function FloatingRateBond(). This takes as inputs gearings ...